On exit: Rjk is the product-moment correlation coefficient Rjk between the jth and kth variables, for j=1,2,…,m and k=1,2,…,m.

10: LDR – INTEGERInput

On entry: the first dimension of the array R as declared in the (sub)program from which G02BAF is called.

Constraint:
LDR≥M.

11: IFAIL – INTEGERInput/Output

On entry: IFAIL must be set to 0, -1​ or ​1. If you are unfamiliar with this parameter you should refer to Section 3.3 in the Essential Introduction for details.

For environments where it might be inappropriate to halt program execution when an error is detected, the value -1​ or ​1 is recommended. If the output of error messages is undesirable, then the value 1 is recommended. Otherwise, if you are not familiar with this parameter, the recommended value is 0. When the value -1​ or ​1 is used it is essential to test the value of IFAIL on exit.

On exit: IFAIL=0 unless the routine detects an error or a warning has been flagged (see Section 6).

6 Error Indicators and Warnings

If on entry IFAIL=0 or -1, explanatory error messages are output on the current error message unit (as defined by X04AAF).

Errors or warnings detected by the routine:

IFAIL=1

On entry,

N<2.

IFAIL=2

On entry,

M<2.

IFAIL=3

On entry,

LDX<N,

or

LDSSP<M,

or

LDR<M.

7 Accuracy

G02BAF does not use additional precision arithmetic for the accumulation of scalar products, so there may be a loss of significant figures for large n.

8 Further Comments

The time taken by G02BAF depends on n and m.

The routine uses a two-pass algorithm.

9 Example

This example reads in a set of data consisting of five observations on each of three variables. The means, standard deviations, sums of squares and cross-products of deviations from means, and Pearson product-moment correlation coefficients for all three variables are then calculated and printed.